Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications
Probability
2011-03-16 v2
Abstract
By constructing a new coupling, the log-Harnack inequality is established for the functional solution of a delay stochastic differential equation with multiplicative noise. As applications, the strong Feller property and heat kernel estimates w.r.t. quasi-invariant probability measures are derived for the associated transition semigroup of the solution. The dimension-free Harnack inequality in the sense of \cite{W97} is also investigated.
Keywords
Cite
@article{arxiv.1012.5688,
title = {Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications},
author = {Feng-Yu Wang and Chenggui Yuan},
journal= {arXiv preprint arXiv:1012.5688},
year = {2011}
}
Comments
22 pages